Pricing American-Style Derivatives with European Call Options.
Scott B. LapriseMichael C. FuSteven I. MarcusAndrew E. B. LimHuiju ZhangPublished in: Manag. Sci. (2006)
Keyphrases
- option pricing
- black scholes model
- double exponential
- higher order
- united states
- databases
- european project
- north american
- summer school
- black scholes
- case study
- dynamic pricing
- pricing model
- directional derivatives
- financial markets
- computer science
- european countries
- european union
- eu funded
- profit maximization
- framework programme
- database